I had all three of them working perfectly in Wineskin quite a while ago but then I had to go and sell my iMac...

That was running the Steam versions in each case. It certainly is a plus these DRM-free releases are simpler to setup now including some initialization file tweaks at least in Fallout 3 that are necessary for it to run. I recall needing to edit the New Vegas ini file similarly. Both games have a really annoying issue with the mouse in the menus I think it was. A little edit fixes that and it is a problem in Windows as well. It has nothing to do with Wine. This stuff is all documented in AppDB except possibly the mouse thing but info on that can be found in the relevant Steam forum.

Oblivion is cake as I recall. I think you can just install and go with that one. I wouldn't trust me though. Checking AppDB is usually a timesaver.